Robust minimum variance portfolio with L-infinity constraints
Xin Xing; Jinjin Hu; Yaning Yang
| Year of publication: |
2014
|
|---|---|
| Authors: | Xing, Xin ; Hu, Jinjin ; Yang, Yaning |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 46.2014, p. 107-117
|
| Subject: | Minimum variance portfolio | Norm constraints | Sparsity | Clustering | Robust | Portfolio-Management | Portfolio selection | Theorie | Theory | Varianzanalyse | Analysis of variance | Robustes Verfahren | Robust statistics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010467839